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Class YieldTermStructure

Interest-rate term structure

This abstract class defines the interface of concrete interest rate structures which will be derived from this one.

test

observability against evaluation date changes is checked.

Hierarchy

Implements

Implemented by

Index

Properties

Methods

Properties

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[] = []

_jumpTimes

_jumpTimes: Time[] = []

_jumps

_jumps: Array<Handle<Quote>> = []

_latestReference

_latestReference: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size = 0

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void

    • Parameters

      • Optional b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void

    • Parameters

      • Optional b: boolean

      Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void

  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void

  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

dayCounter

discount1

  • Discount factors

    These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discount2

  • The same day-counting rule used by the term structure should be used for calculating the passed time t.

    Parameters

    • t: Time
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discountImpl

  • discount factor calculation

    Parameters

    Returns DiscountFactor

forwardRate1

  • The resulting interest rate has the required day-counting rule.

    Parameters

    • d1: Date
    • d2: Date
    • dayCounter: DayCounter
    • comp: Compounding
    • Default value freq: Frequency = Frequency.Annual
    • Default value extrapolate: boolean = false

    Returns InterestRate

forwardRate2

  • The resulting interest rate has the required day-counting rule. warning dates are not adjusted for holidays

    Parameters

    Returns InterestRate

forwardRate3

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

    Parameters

    Returns InterestRate

jumpDates

  • jumpDates(): Date[]

  • Jump inspectors

    Returns Date[]

jumpTimes

  • jumpTimes(): Time[]

  • Returns Time[]

maxDate

  • maxDate(): Date

  • the latest date for which the curve can return values

    Returns Date

maxTime

  • the latest time for which the curve can return values

    Returns Time

referenceDate

  • referenceDate(): Date

  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

setJumps

  • setJumps(): void

  • Returns void

settlementDays

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

  • Returns void

ytsInit1

  • Parameters

    • Default value dc: DayCounter = new DayCounter()
    • Default value jumps: Array<Handle<Quote>> = []
    • Default value jumpDates: Date[] = []

    Returns YieldTermStructure

ytsInit2

  • Parameters

    • referenceDate: Date
    • Default value calendar: Calendar = new Calendar()
    • Default value dc: DayCounter = new DayCounter()
    • Default value jumps: Array<Handle<Quote>> = []
    • Default value jumpDates: Date[] = []

    Returns YieldTermStructure

ytsInit3

zeroRate1

  • The resulting interest rate has the required daycounting rule.

    Parameters

    Returns InterestRate

zeroRate2

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

    Parameters

    Returns InterestRate